Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 13 12 13
Score 2.3 1.33 2.15
Market Cap (Millions USD) 20287.82 19948.32 19502.66
Predicted Beta 0.57 0.56 0.55
Idiosyncratic Volatility 0.59 0.54 0.65

Annualized return and volatility

IWR
Annualized Return 0.0948
Annualized Std Dev 0.1930
Annualized Sharpe (Rf=0%) 0.4915

Row

Daily Return Statistics

IWR
Observations 4690.0000
NAs 424.0000
Minimum -0.0941
Quartile 1 -0.0046
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0004
Quartile 3 0.0062
Maximum 0.1099
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0001
Stdev 0.0122
Skewness -0.2048
Kurtosis 8.3124

Downside Risk

IWR
Semi Deviation 0.0089
Gain Deviation 0.0085
Loss Deviation 0.0097
Downside Deviation (MAR=210%) 0.0134
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.5883
Historical VaR (95%) -0.0181
Historical ES (95%) -0.0297
Modified VaR (95%) -0.0182
Modified ES (95%) -0.0312
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2011-02-07 -0.5883 916 426 490
2002-03-20 2002-10-09 2003-09-02 -0.3226 375 144 231
2011-07-08 2011-10-03 2012-03-15 -0.2417 176 62 114
2018-08-30 2018-12-24 2019-04-08 -0.2122 154 82 72
2015-04-24 2016-02-11 2016-07-12 -0.1942 311 206 105

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IWR
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA 0.0 -0.8 1.2 0.0 0.0 0.4
2002 0.0 1.2 -0.3 0.3 0.0 -1.8 -1.5 0.0 1.4 2.1 0.0 0.0 1.2
2003 0.0 0.0 0.5 0.0 0.0 0.7 -0.5 0.0 1.5 0.0 1.3 0.0 3.5
2004 0.0 1.2 0.6 0.0 0.4 -0.9 0.0 0.4 1.5 0.1 1.5 0.0 5.0
2005 0.8 0.8 -0.2 0.0 0.8 -0.2 0.0 -0.1 0.0 -0.2 1.7 0.0 3.6
2006 0.5 0.7 0.0 -0.3 1.7 0.0 -0.5 0.5 0.0 -0.8 -0.1 0.0 1.7
2007 1.1 -0.6 0.0 0.3 0.4 0.0 0.3 0.0 1.5 -2.3 0.0 0.0 0.5
2008 2.6 0.0 3.2 1.7 0.0 0.2 -0.3 0.0 0.0 0.0 -9.4 0.0 -2.6
2009 0.0 0.0 1.9 0.5 3.6 0.6 0.0 -2.3 -3.0 0.0 1.5 0.0 2.7
2010 1.8 1.6 1.1 0.0 -2.5 -0.3 0.0 3.3 0.3 -0.1 2.1 0.0 7.5
2011 1.4 -1.8 0.7 0.0 -2.3 1.6 -0.8 -1.4 0.0 -2.9 -0.3 0.0 -5.7
2012 1.4 0.8 0.0 0.6 -3.0 0.0 -0.6 0.0 0.0 1.9 0.0 0.0 1.0
2013 1.0 0.2 -0.8 -1.2 0.0 1.0 1.8 0.0 1.1 0.3 0.0 0.0 3.3
2014 0.0 0.0 1.0 0.2 0.0 0.5 -0.2 0.0 -1.3 0.0 -1.1 0.0 -1.0
2015 0.0 0.0 -0.4 1.0 0.3 0.5 0.0 -2.9 0.0 0.0 0.9 0.0 -0.7
2016 0.3 2.2 0.5 0.0 0.3 0.2 -0.4 0.1 0.0 -0.9 -0.6 0.0 1.7
2017 -0.3 1.2 0.0 0.2 1.2 0.0 0.1 0.4 0.0 0.0 -0.2 0.0 2.6
2018 -0.1 -0.9 0.0 0.1 0.8 0.0 -0.4 0.0 -0.3 1.6 0.0 0.0 0.8
2019 0.4 0.6 1.1 -1.0 0.0 0.8 -1.2 0.0 -1.4 1.2 0.0 0.1 0.6

Row

Rolling Performance Chart

Snail Trail Chart